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A good sign for multivariate risk taking

Listed author(s):
  • L. Eeckhoudt

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - Université de Lille, Sciences Humaines et Sociales - CNRS - Centre National de la Recherche Scientifique - UCL - Université catholique de Lille)

  • H. Schlesinger
  • Béatrice Rey

    (ISFA - Institut des Science Financière et d'Assurances - Université de Lyon)

Decisions under risk are often multidimensional, where the preferences of the decision maker depend on several attributes. For example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross derivatives of a utility function play an important role in these models. However, there has not been a simple and intuitive interpretation for the meaning of such derivatives. The purpose of this paper is to give such an interpretation. In particular, we provide an equivalence between the signs of these cross derivatives and individual preference within a particular class of simple lotteries.

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Paper provided by HAL in its series Post-Print with number hal-00283446.

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Date of creation: 2007
Publication status: Published in Management Science, INFORMS, 2007, 53 (1), pp.117-124
Handle: RePEc:hal:journl:hal-00283446
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00283446
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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